Option flow in Facebook is heavy in front of this afternoon’s earnings release, with FB options making up 5.3% of the single stock total and volume on pace for nearly 200,000 calls and 300,000 puts as shares trade up about 15cents near $19.48, the low end of their post-IPO range of 17.73 to 33.10. November 19 puts lead the most actives, with more than 40K trading at an avg price of 1.29, including a buyer of the Nov 16-19 put spread 16000 for 95cents when shares were at 19.50. In the short-term weeklys, the 17 strike puts lead the list with 35000 contracts trading at an avg price of 33cents and ISE data confirming most of the flow to be opening cust buyer. 30day ATMIV is near 72%- among the highest readings since FB was listed. Command /egap FB shows the 3day straddle is priced around 12.6% of spot, which implies a one-sigma range from about $16 to $23. Last cycle saw an 11.7% decline.

Henry Schwartz is the president of Trade Alert LLC, a provider of real-time options analysis tools to leading Wall Street firms. His systems analyze hundreds of thousands of transactions per second to help professionals identify and interpret market activity in real time, supporting informed trading decisions and intelligent idea generation. He has held institutional trading and management roles with Bank of America, Bear Stearns, Salomon Brothers and the Hull Group, and made markets on the CBOE and AMEX floors in the US, and EUREX and MONEP overseas. Prior to founding Trade Alert, he led the electronic market-making group at Bank of America coincident with the launch of the International Securities Exchange. He received his bachelor’s degree in Economics from the University of California, San Diego and his MBA from NYU’s Stern School of Business.